I had the same problem. It is the wattage limiting black box that is bad if you used the bulbs that came with it and it doesn't work. I am an electrician so I found it to be a simple fix.
Turn off power at the switch. Open the bottom of the fan where you plugged the light in. You are basically going to bypass the little black box that goes into the lights. Mine had a red, blue and white wire going to the black box. Cut or unsplice the 3 wires as close as you can to the black box and remove the black box. Splice the white wire going to the light to the white wire that came from the selector fan switch back together. Then splice the red wire from the plug-in connector to the black wire going to the lights. This will solve your problem.
You can also get a new black box if you want the wattage limiting feature still. I am an electrician of 15 years and I don't see the point of it as my fan only takes small bulbs anyways. If you do remove this black box do not put in bulbs that will add up to over 190 watts together.